Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0471 |
| Annualized Std Dev | 0.3959 |
| Annualized Sharpe (Rf=0%) | -0.1189 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3469.0000 |
| NAs | 1.0000 |
| Minimum | -0.2712 |
| Quartile 1 | -0.0113 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0118 |
| Maximum | 0.2897 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0006 |
| Stdev | 0.0249 |
| Skewness | -0.2594 |
| Kurtosis | 15.2083 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0180 |
| Gain Deviation | 0.0178 |
| Loss Deviation | 0.0193 |
| Downside Deviation (MAR=210%) | 0.0223 |
| Downside Deviation (Rf=0%) | 0.0179 |
| Downside Deviation (0%) | 0.0179 |
| Maximum Drawdown | 0.8859 |
| Historical VaR (95%) | -0.0363 |
| Historical ES (95%) | -0.0587 |
| Modified VaR (95%) | -0.0350 |
| Modified ES (95%) | -0.0350 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-24 | 2020-03-23 | NA | -0.8859 | 3207 | 2956 | NA |
| 2008-01-04 | 2008-01-23 | 2008-02-25 | -0.1600 | 35 | 13 | 22 |
| 2007-07-20 | 2007-08-16 | 2007-10-11 | -0.1590 | 55 | 19 | 36 |
| 2008-02-29 | 2008-03-20 | 2008-04-08 | -0.1211 | 27 | 15 | 12 |
| 2007-10-17 | 2007-11-15 | 2007-12-24 | -0.0813 | 41 | 19 | 22 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 1.1 | 0.1 | -2.5 | 1.5 | 0.1 | -1.3 | -0.4 | -1.2 | -2.5 |
| 2008 | 3 | -3.5 | 1.9 | -2.1 | 1.8 | 0.1 | 0.2 | -0.8 | 0.4 | 2 | -9.5 | 3.6 | -3.8 |
| 2009 | -2.3 | -1.4 | 2.4 | 4.1 | 4.1 | 0.8 | 0.9 | -1.7 | -3.9 | -4.7 | 1.9 | -0.8 | -1 |
| 2010 | 3.7 | 1.4 | 2.3 | -1.8 | -5.8 | -0.3 | 0.4 | 3.8 | 0.7 | 0.5 | 2.7 | 0.1 | 7.6 |
| 2011 | 1.3 | -1.9 | 0.6 | 2.3 | -2.3 | 1 | -0.3 | -1 | -3.6 | -3.2 | -0.6 | 0.1 | -7.5 |
| 2012 | 0.8 | 1.4 | 0.4 | 1 | -3.4 | 3.7 | 0.6 | 1.3 | 0.5 | 1.6 | 0.3 | 2.9 | 11.5 |
| 2013 | 1.1 | -1.2 | -1.3 | -1.8 | -1.7 | 0.5 | 1.9 | -0.7 | 1.2 | 0.2 | -0.4 | 1.2 | -1.2 |
| 2014 | -0.6 | 0.8 | 0.7 | -0.5 | -0.1 | 0.1 | -1.1 | 1 | -2.3 | 2 | -0.9 | -0.8 | -1.7 |
| 2015 | 2.9 | -0.1 | 1.1 | 0.3 | -0.6 | -2.8 | -2.6 | -4.5 | 0.1 | 2 | 0.9 | 1.4 | -2.2 |
| 2016 | -2.8 | 1.9 | -2.3 | 0.3 | 0.5 | 2.3 | -3.7 | -0.7 | 1.4 | 0.1 | 0.7 | -0.7 | -2.9 |
| 2017 | -0.2 | 1.7 | 0.6 | -0.8 | 1.3 | -0.1 | -0.3 | 1.6 | 0 | 2.5 | 1.7 | -0.8 | 7.5 |
| 2018 | 0.5 | 1 | 2.6 | -0.5 | 0.1 | 0.2 | -1.1 | -0.6 | 1.8 | 1.9 | -1.4 | 0.9 | 5.4 |
| 2019 | 0.1 | 1.8 | 1.5 | -2.7 | -1.8 | 0.2 | -4.2 | -0.8 | -2.8 | 3.3 | -1.8 | 1.1 | -6.2 |
| 2020 | -2.4 | 3.6 | -5.5 | -8.3 | 3.1 | -3 | 0 | 0 | -1.4 | -0.4 | -0.5 | -0.9 | -15.3 |
| 2021 | 1 | 2.7 | 1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.5 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
